投资咨询业务资格：证监许可【2011】1778 号 运筹帷幄 决胜千里 宝城期货品种套利数据日报（2025 年 5 月 20 日） 一、动力煤 | 商品 | | | 动力煤（元/吨） | | | --- | --- | --- | --- | --- | | 日期 | 基差 | 5月-1月 | 9月-1月 | 9月-5月 | | 2025/05/19 | -189.4 | 0.0 | 0.0 | 0.0 | | 2025/05/16 | -187.4 | 0.0 | 0.0 | 0.0 | | 2025/05/15 | -187.4 | 0.0 | 0.0 | 0.0 | | 2025/05/14 | -184.4 | 0.0 | 0.0 | 0.0 | | 2025/05/13 | -182.4 | 0.0 | 0.0 | 0.0 | -250 -200 -150 -100 -50 0 50 100 150 450 500 550 600 650 700 750 800 850 900 950 动力煤基差 基差（右） 动力煤现货价:秦皇岛 期货结算价(活跃合约) :动力煤 www.bcqhgs.com 1 ...

Core Viewpoint - The ongoing battle between bullish and bearish sentiments in the gold market is leading to significant financial losses for investors, highlighting the complexities and risks involved in trading strategies [1][4]. Group 1: Market Dynamics - The gold market is currently influenced by three main factors: the Federal Reserve's interest rate management, collective repositioning by Wall Street institutions, and algorithmic trading [4]. - A significant drop in gold prices has been observed, with an 11% decline since reaching 3500 points, despite a 2% rebound following a downgrade of the U.S. credit rating by Moody's [4]. - The non-commercial net long positions in COMEX gold reached a historical peak of 382,000 contracts in April, indicating that a 1% price fluctuation could trigger billions in liquidations [4]. Group 2: Investor Behavior - Retail investors are facing challenges, with 83% of recent losses attributed to frequent trading, which benefits analysts through transaction fees [5]. - A case study of an investor following two prominent analysts revealed a 30% gain last year with one and a 40% loss this year with the other, illustrating the unpredictable nature of market outcomes [5]. Group 3: Investment Strategies - The article suggests that a dualistic mindset of "either bullish or bearish" is a trap, advocating for a cross-hedging strategy that combines long positions in gold stocks with put options to mitigate risks [6]. - Institutions employing hedging strategies have outperformed single-direction traders by 17 percentage points this year [6]. - The focus should be on risk management rather than choosing sides in the market debate, emphasizing the importance of personal stop-loss strategies and independent thinking [6].

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Group 1 - Barclays Bank's latest report indicates a reduction in interest rate pressure on major global central banks due to signs of easing in the US-China tariff dispute, which may lead to a resurgence in arbitrage trading in the short term [1] - The report highlights a favorable market environment for foreign exchange arbitrage strategies, with a preference for currencies such as the US dollar, Brazilian real, Colombian peso, Indian rupee, and Mexican peso [1] - The analysis is based on two core judgments: the diminishing drag effect of the tariff dispute on the global economy and the expectation that major central banks will not rush to cut rates due to the absence of hard landing risks [1] Group 2 - Barclays predicts that market volatility will decrease to levels seen after the US elections and before the tariff announcements in early April 2025, creating favorable conditions for arbitrage strategies [2] - The bank warns that as global interest rates approach neutral levels, the "golden window" for arbitrage trading may not last long [2] - Overall, the report conveys a clear signal that with the dual support of reduced tariff risks and stable central bank policies, there is short-term operational space for arbitrage trading, particularly for emerging market investors [2]

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投资咨询业务资格：证监许可【2011】1778 号 运筹帷幄 决胜千里 宝城期货品种套利数据日报（2025 年 5 月 19 日） 一、动力煤 | 商品 | | | 动力煤（元/吨） | | | --- | --- | --- | --- | --- | | 日期 | 基差 | 5月-1月 | 9月-1月 | 9月-5月 | | 2025/05/16 | -187.4 | 0.0 | 0.0 | 0.0 | | 2025/05/15 | -187.4 | 0.0 | 0.0 | 0.0 | | 2025/05/14 | -184.4 | 0.0 | 0.0 | 0.0 | | 2025/05/13 | -182.4 | 0.0 | 0.0 | 0.0 | | 2025/05/12 | -171.4 | 0.0 | 0.0 | 0.0 | -250 -200 -150 -100 -50 0 50 100 150 450 550 650 750 850 950 1050 动力煤基差 基差（右） 动力煤现货价:秦皇岛 期货结算价(活跃合约) :动力煤 www.bcqhgs.com 1 杭州市求是路8号公元大厦东南裙 ...

Core Viewpoint - The FMX Futures Exchange is set to launch U.S. Treasury futures trading on September 23, 2024, aiming to capture market opportunities arising from Federal Reserve interest rate policy changes, challenging the dominance of CME in the U.S. Treasury futures market [1][3]. Group 1: Market Structure and Participants - The U.S. Treasury futures market is characterized by a highly concentrated structure, with CME holding a dominant position. Current open interest for various maturities includes 4.056 million contracts for 2-year, 6.806 million for 5-year, and 4.917 million for 10-year futures [1]. - Market participants are primarily institutional investors, with a diverse structure including proprietary traders, asset managers, leveraged funds, other financial institutions, and individual investors. Asset managers and leveraged funds account for 60%-70% of the market [2][4]. Group 2: Impact of FMX Futures Exchange - The introduction of FMX Futures Exchange is expected to inject new dynamics into the U.S. Treasury futures market, potentially breaking the monopoly of CME and lowering trading costs, benefiting U.S. financial institutions [3][4]. - FMX's collaboration with LCH for cross-margining and enhanced clearing efficiency may attract institutional investors to a more cost-effective platform, thereby reducing market trading costs [4]. - Initial challenges for FMX may include liquidity issues due to CME's established trading network, necessitating attractive trading conditions for high-frequency traders to gradually capture market share [3][4].

Core Viewpoint - The article discusses the "5·15—5·19 Investor Protection Awareness Week" event, emphasizing the importance of rational, value, and long-term investment strategies while enhancing investors' risk awareness and self-protection capabilities [1] Group 1: ETF Characteristics - ETFs have three core advantages: tradability, diversification, and openness. They can be traded like stocks, allowing for convenient transactions. They are based on indices, providing effective risk diversification. The open-ended nature allows for quick adjustments through subscription and redemption mechanisms [2] - As of May 15, 2025, there are 1,162 ETFs in the market with a total scale of 4.12 trillion yuan, including nearly 3 trillion yuan in stock ETFs covering 442 indices [2] Group 2: Common Investment Misconceptions - Common misconceptions include using short-term funds for long-term high-risk investments, which can lead to permanent losses during market downturns. Conversely, using long-term funds for short-term low-risk investments can result in missed opportunities for higher returns [2] Group 3: Investment Strategies - Investors should allocate assets based on their risk tolerance and investment goals, considering proportions for short-term funds, risk reserves, high-risk high-reward funds, and long-term stable income funds [3] - The suggested allocation is 10% for short-term funds, 20% for risk reserves, 30% for high-risk high-reward funds, and 40% for long-term stable income funds [3] Group 4: ETF Selection Criteria - When selecting ETFs, investors should consider the fund's size, management fees, and excess returns. Larger ETFs tend to have higher trading activity and better liquidity, reducing trading risks [4] - Management fees can vary significantly, as seen in the example of new energy vehicle ETFs, where fees range from 20 basis points to 60 basis points [4] Group 5: Arbitrage Strategies - ETF arbitrage strategies include premium/discount arbitrage and event arbitrage, allowing investors to capitalize on price discrepancies between market prices and intrinsic values [4] - ETFs are described as efficient, transparent, and low-cost investment tools that cater to diverse investor needs, with professional management ensuring product stability [4]

Group 1 - The seventh "5 15-5 19 Small Investor Protection Publicity Week" event was held from May 15 to 19 in Beijing, Shanghai, and Shenzhen, focusing on promoting investment knowledge and advocating rational, value, and long-term investment principles [1] - The event featured discussions led by chief analysts from brokerage firms, public interest lawyers, and representatives from listed companies to enhance investors' risk awareness and self-protection capabilities [1] Group 2 - Dr. Cheng Jun from Hai Fu Tong Fund Management highlighted the growing popularity of ETFs as transparent and flexible investment tools, emphasizing the importance of scientific strategies to enhance ETF investment outcomes [2] - Common ETF investment strategies include allocation strategies such as constant stock-bond ratio models and risk parity models, as well as trading strategies that focus on market sentiment and short-term volatility [2][3] - The dollar-cost averaging strategy is noted as a simple and widely used method, which helps investors average their investment costs and reduce the impact of market volatility [2][3] Group 3 - The dollar-cost averaging strategy involves investing a fixed amount at regular intervals, which can lead to significant excess returns compared to buy-and-hold strategies [3] - Dr. Cheng suggested that a good exit point for profits could be when the holding return reaches a target, such as 30%, allowing for a cycle of continued investment [3] - The ETF grid trading strategy is suitable for investors with limited time to monitor fund fluctuations, allowing automated buy and sell operations based on pre-set parameters [3][4] Group 4 - The ETF arbitrage strategy capitalizes on price differences between the primary and secondary markets, leveraging the unique dual trading mechanism of ETFs [4] - In April, the total scale of the ETF market in China surpassed 4 trillion yuan, indicating a growing recognition of index investment tools among investors [4] - Factors such as favorable policies, reduced ETF fees, and increased institutional investment have contributed to the rising popularity of ETFs, which offer low costs, risk diversification, transparency, and trading flexibility [4]

铸造铝合金产业链周报 国泰君安期货研究所 有色及贵金属 莫骁雄 投资咨询从业资格号：Z0019413 日期：2025年5月18日 ◆ 供应端，废铝供需双弱，合金开工率呈现下移趋势。现今废铝供应季节性紧缺， 回收商持货量有限，流通货源偏紧下持货商惜售，价格偏坚挺维稳运行，精废 价差处于相对偏低位置。废铝挤压合金厂利润，目前迈入亏损阶段，5月预计铸 造铝合金厂趋势性下调开工率，对废铝需求收缩，即原料端处于供需双弱阶段。 ◆ 消费淡季程度逐步走深，下游刚需少量采购。下游订单在二季度存在边际走弱 特征，补库相对谨慎，下游压铸企业采购积极性欠佳，以刚需为主。 ◆ 消费淡季压力下，价格上方承压显著，中期维度来看或仍以偏弱运行为主。周 内铝价受到关税缓和情绪乐观的影响而大幅上抬，然而需求端的疲弱限制 ADC12跟涨幅度。回归基本面，供需双弱逻辑或随着淡季程度更深而演变为负 反馈逻辑，价格回落。同时，ADC12-A00基差或继续收敛，关注跨品种套利机 会。 | 总结：废铝和ADC12价格小幅上调 2025/04 月环比 | | | | | 2025/04 | 月环比 | | --- | --- | --- | --- | - ...